Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | -0.0225 |
| Annualized Std Dev | 0.1927 |
| Annualized Sharpe (Rf=0%) | -0.1169 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4353.0000 |
| NAs | 1.0000 |
| Minimum | -0.2333 |
| Quartile 1 | -0.0039 |
| Median | 0.0005 |
| Arithmetic Mean | 0.0000 |
| Geometric Mean | -0.0001 |
| Quartile 3 | 0.0044 |
| Maximum | 0.1713 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0003 |
| Variance | 0.0001 |
| Stdev | 0.0121 |
| Skewness | -1.7381 |
| Kurtosis | 61.4972 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0092 |
| Gain Deviation | 0.0090 |
| Loss Deviation | 0.0116 |
| Downside Deviation (MAR=210%) | 0.0136 |
| Downside Deviation (Rf=0%) | 0.0092 |
| Downside Deviation (0%) | 0.0092 |
| Maximum Drawdown | 0.6451 |
| Historical VaR (95%) | -0.0141 |
| Historical ES (95%) | -0.0289 |
| Modified VaR (95%) | -0.0102 |
| Modified ES (95%) | -0.0102 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2013-01-10 | 2020-03-18 | NA | -0.6451 | 2063 | 1809 | NA |
| 2004-01-28 | 2008-11-20 | 2012-02-24 | -0.5551 | 2035 | 1215 | 820 |
| 2012-04-17 | 2012-06-01 | 2012-07-13 | -0.0894 | 62 | 33 | 29 |
| 2012-10-09 | 2012-11-15 | 2013-01-07 | -0.0890 | 60 | 26 | 34 |
| 2012-03-06 | 2012-03-06 | 2012-04-13 | -0.0266 | 28 | 1 | 27 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2003 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 0.4 | 0.4 |
| 2004 | 0.2 | 1.7 | 1.2 | -1 | -1.2 | 2.1 | 1.4 | -0.6 | 0.1 | 0.3 | 0.2 | 0.9 | 5.3 |
| 2005 | 0.9 | -0.1 | -0.3 | 0.8 | 0.6 | 1.1 | -0.6 | -0.1 | 0.6 | 0.9 | 0.3 | 4.5 | 8.9 |
| 2006 | 0.4 | 0.4 | 0.7 | -0.2 | -0.2 | -1 | 0.3 | 0.4 | -0.4 | -0.2 | 0.2 | -0.2 | 0.3 |
| 2007 | 0.2 | -0.4 | -0.1 | 0.1 | -0.3 | 0.1 | -2.4 | 1.2 | 0.8 | -0.1 | -0.1 | 0.8 | -0.1 |
| 2008 | 0.4 | -0.4 | 1.4 | -0.5 | -0.1 | -0.3 | 1.5 | -0.4 | 3.8 | -0.2 | -4.8 | 1.9 | 2.3 |
| 2009 | 0.4 | -2.2 | 1.1 | 1.5 | 2.3 | 1.6 | 0.3 | 0 | 0 | -3.2 | 1 | -0.5 | 2.4 |
| 2010 | 1.4 | 1.1 | 0.2 | -0.5 | -2.5 | -0.5 | 0.3 | 0.5 | 0.5 | 0.1 | 0.2 | -0.1 | 0.5 |
| 2011 | 0.3 | 0.3 | 0 | 0.6 | -0.5 | 1 | 2.1 | 0.1 | -1.3 | -0.5 | -0.1 | 0.4 | 2.5 |
| 2012 | -0.3 | 1.3 | -0.5 | 0.1 | -1.2 | 1.3 | 1 | 0.7 | 0.8 | 1 | -0.6 | 0.1 | 3.7 |
| 2013 | -0.1 | 0.4 | 0.3 | 1.3 | -3 | 0.3 | -0.3 | -0.6 | 0 | -0.2 | 0.5 | -0.1 | -1.6 |
| 2014 | -0.5 | 0.2 | 0.5 | 0.8 | 0.6 | -0.4 | -0.2 | 0.4 | 0.4 | 0.3 | -2.1 | -0.5 | -0.6 |
| 2015 | -0.7 | 0.2 | -0.1 | 0.1 | -0.1 | -0.1 | 0.7 | 0.6 | 0.4 | 0.8 | 1.1 | 0.4 | 3.3 |
| 2016 | 0.2 | 1 | -0.5 | 0.3 | 0.6 | 0.3 | -0.4 | 0.2 | 0.2 | 0.2 | -1.1 | -0.7 | 0.2 |
| 2017 | 0.1 | -0.2 | 0.6 | 0.7 | 0.3 | 0.1 | 0.1 | 0.3 | 0.4 | 0.1 | 0 | 0 | 2.5 |
| 2018 | 0.9 | -0.2 | 0.3 | 0.1 | -0.3 | -0.3 | -0.7 | -0.1 | 0.7 | 1 | 0.8 | 0.1 | 2.3 |
| 2019 | 1.4 | 0.3 | 1.6 | 0.1 | -0.9 | -0.2 | 0.3 | -1 | -0.5 | 0.7 | 0.3 | 0 | 2.2 |
| 2020 | -1.2 | -2.7 | -1.4 | 0.3 | 1.1 | 0.6 | 0.5 | 1.3 | 1.2 | -0.8 | 0.7 | 0.2 | -0.3 |
| 2021 | 1.2 | 1 | 1.7 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.9 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
